Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 8 | 8 | 9 |
| Score | -2.66 | -1.74 | -1.08 |
| Market Cap (Millions USD) | 1479.26 | 1511.01 | 1392.7 |
| Predicted Beta | 0.18 | 0.18 | 0.18 |
| Idiosyncratic Volatility | 0.83 | 0.86 | 1.09 |
Annualized return and volatility
| EWA | |
|---|---|
| Annualized Return | 0.0812 |
| Annualized Std Dev | 0.2620 |
| Annualized Sharpe (Rf=0%) | 0.3101 |
Row
Daily Return Statistics
| EWA | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1239 |
| Quartile 1 | -0.0068 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0084 |
| Maximum | 0.2075 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0165 |
| Skewness | 0.1323 |
| Kurtosis | 11.5463 |
Downside Risk
| EWA | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0118 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0163 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.6698 |
| Historical VaR (95%) | -0.0251 |
| Historical ES (95%) | -0.0394 |
| Modified VaR (95%) | -0.0222 |
| Modified ES (95%) | -0.0222 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2013-01-29 | -0.6698 | 1342 | 273 | 1069 |
| 2014-09-04 | 2016-01-15 | 2017-12-27 | -0.3537 | 849 | 352 | 497 |
| 2000-01-19 | 2001-09-21 | 2003-05-06 | -0.2929 | 842 | 427 | 415 |
| 2007-07-24 | 2007-08-16 | 2007-09-24 | -0.2046 | 45 | 18 | 27 |
| 2013-05-01 | 2013-06-20 | 2014-04-09 | -0.1989 | 244 | 37 | 207 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWA | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | -0.6 | -0.6 | 0.0 | -1.3 | 1.3 | 0.0 | 0.6 | 1.3 | 0.0 | 1.4 | 2.1 | 0.0 | 4.2 |
| 2001 | 0.6 | -0.2 | 0.0 | 0.5 | 0.4 | 0.0 | 3.5 | 0.0 | 5.3 | 1.9 | 0.0 | 0.0 | 12.6 |
| 2002 | -1.1 | 0.2 | -0.6 | -0.5 | 0.0 | -0.6 | -1.5 | 0.0 | 4.1 | 1.3 | 0.0 | 0.0 | 1.1 |
| 2003 | 0.0 | 0.0 | 0.2 | 0.7 | 0.0 | 0.1 | 0.6 | 0.0 | 1.1 | 0.0 | 0.4 | 0.0 | 3.2 |
| 2004 | 0.0 | 1.2 | 2.1 | 0.0 | -0.1 | -0.9 | 0.0 | 1.0 | 0.6 | 0.7 | 0.2 | 0.0 | 4.9 |
| 2005 | 1.0 | -0.6 | 0.7 | 0.0 | 0.8 | -1.0 | 0.5 | 2.1 | 0.0 | -0.3 | 1.9 | 0.0 | 5.1 |
| 2006 | -0.5 | -0.5 | 0.0 | 1.0 | -0.4 | 0.0 | -0.4 | 0.5 | 0.0 | 1.7 | -1.5 | 0.0 | -0.3 |
| 2007 | -0.3 | -0.4 | 0.0 | 0.1 | 1.0 | 0.0 | -1.8 | 0.0 | 2.5 | -3.8 | 0.0 | 0.0 | -2.7 |
| 2008 | 5.8 | 0.0 | 2.4 | 0.6 | 0.0 | -1.9 | -2.8 | 0.0 | 1.0 | 0.0 | -8.5 | 0.0 | -3.8 |
| 2009 | 0.0 | 0.0 | 1.7 | 0.8 | 4.2 | 0.4 | 0.0 | -2.1 | -3.6 | 0.0 | 2.4 | 0.0 | 3.7 |
| 2010 | 2.4 | 2.8 | 1.9 | 0.0 | -3.1 | 0.1 | 0.0 | 5.6 | 1.1 | 0.7 | 2.8 | 0.0 | 14.8 |
| 2011 | 2.0 | -2.2 | 1.2 | 0.0 | -2.3 | 0.7 | 0.1 | -1.0 | 0.0 | -3.7 | -0.9 | 0.0 | -6.2 |
| 2012 | 1.0 | 0.6 | 0.0 | 0.5 | -1.9 | 0.0 | -0.3 | 0.0 | 1.0 | 0.0 | 0.0 | 0.0 | 1.0 |
| 2013 | 0.8 | 0.2 | -0.4 | -1.7 | 0.0 | -0.5 | 0.0 | 0.0 | 0.8 | -0.1 | 0.0 | 0.0 | -0.9 |
| 2014 | 0.0 | 0.0 | 0.1 | -0.9 | 0.0 | 0.5 | -0.6 | 0.0 | 0.2 | 0.0 | -1.5 | 0.0 | -2.3 |
| 2015 | 0.0 | 0.0 | 0.2 | 0.6 | -0.8 | 1.1 | 0.0 | -4.6 | 0.8 | 0.0 | 2.8 | 0.0 | 0.0 |
| 2016 | 0.2 | 3.2 | -0.6 | 0.0 | -0.2 | 0.5 | -1.1 | 0.5 | 0.0 | -0.4 | 1.1 | 0.0 | 3.2 |
| 2017 | 0.5 | 1.1 | 0.0 | 1.0 | -0.2 | 0.0 | 0.4 | 0.8 | 0.0 | 0.5 | 0.4 | 0.0 | 4.5 |
| 2018 | 0.5 | -0.7 | 0.0 | 0.5 | 0.7 | 0.0 | -0.8 | 0.0 | -0.1 | 1.6 | 0.0 | 0.0 | 1.6 |
| 2019 | -0.1 | 0.7 | 1.1 | -0.4 | 0.0 | -0.2 | -0.5 | 0.0 | -1.3 | 1.0 | 0.0 | 0.1 | 0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
